Level of acceptances of Tender Offer

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, DIRECTLY OR INDIRECTLY, IN OR INTO, THE UNITED STATES, AUSTRALIA, CANADA OR JAPAN

Level of acceptances of Tender Offer

BH Macro Limited (the "Company")

(an authorised closed-ended collective investment scheme established as a company with limited liability under the laws of Guernsey with registration number 46235)

23 May 2016

Further to the Company’s announcements on 5 April 2016 and 27 April 2016 of the tender offer to shareholders for up to 25 per cent. of the issued shares of each class of the Company (the “Tender Offer”), the Company today announces that the Tender Offer closed as at 5.00 p.m. on 20 May 2016 (the “Record Date”). The implementation of the Tender Offer by the Company is subject, amongst other conditions, to it receiving the approval of its shareholders at an extraordinary general meeting to be held at 2.00 p.m. on 24 May 2016.

The maximum number of shares in respect of which tenders will be satisfied (the “Available Shares” representing 25 per cent. of each class of shares in issue as at 25 April 2016, the latest practicable date prior to the publication of the circular containing details of the Tender Offer) are as follows:

• 861,331 Euro shares;
• 7,812,223 Sterling shares; and
• 3,805,094 US Dollar shares.

The Company has received acceptances from shareholders in excess of the number of Available Shares set out above.

Accordingly, the Company will fulfil the acceptances it has received in accordance with the procedures which are set out in the circular containing details of the Tender Offer which was despatched to shareholders on 27 April 2016.

In respect of the Euro shares and the Sterling shares there are sufficient Available Shares to satisfy, in full, all tenders received at an 8% discount to the net asset value per share as at 31 May 2016 (the “Base Increment”), a 7% discount to the net asset value per share as at 31 May 2016 (the “7% Increment”) and a 6% discount to the net asset value per share as at 31 May 2016 (the “6% Increment”).

In respect of tenders received at a 5% discount to the net asset value per share as at 31 May 2016 (the “5% Increment”) there are insufficient remaining Available Shares to satisfy each tendering shareholder’s Basic Entitlement in full. As a result, the remaining Available Shares will be allocated pro rata to each shareholder’s remaining Basic Entitlement at the 5% Increment and the Company will apply an appropriate scale back ratio to acceptances received for the remaining Available Shares. No acceptances received in excess of a shareholder’s Basic Entitlement will be satisfied at the 5% Increment.

In respect of the US Dollar shares there are sufficient Available Shares to satisfy, in full, all acceptances received at the Base Increment and the 7% Increment. In respect of acceptances received at the 6% Increment, there are insufficient remaining Available Shares to satisfy each tendering shareholder’s Basic Entitlement and, as a result, the remaining Available Shares will be allocated pro rata to each shareholder’s remaining Basic Entitlement at the 6% Increment. As above, the Company will apply an appropriate scale back ratio to acceptances received for the remaining Available Shares. No acceptances received in excess of a shareholder’s Basic Entitlement will be satisfied at the 6% Increment.

In respect of the Euro shares and the Sterling Shares no acceptances received at a 4% discount to the net asset value per share as at 31 May 2016 (the “4% Increment”) will be satisfied and in respect of the US Dollar shares no acceptances received at the 5% Increment and at the 4% Increment will be satisfied.

On the basis of the Company’s initial calculations it is anticipated that tenders will be satisfied in respect of the following numbers of shares and at the various Tender prices.

Euro shares

Tender price  increment	The 5% Increment	The 6% Increment	The 7% Increment	The Base Increment
Number of Euro shares for which tenders will be satisfied	319,518	60,710	25,000	456,103

Sterling shares

Tender price  increment	The 5% Increment	The 6% Increment	The 7% Increment	The Base Increment
Number of Sterling shares for which tenders will be satisfied	610,886	656,471	306,064	6,238,802

US Dollar shares

Tender price  increment	The 6% Increment	The 7% Increment	The Base Increment
Number of US Dollar shares for which tenders will be satisfied	56,560	45,000	3,703,534

Expected timetable

Extraordinary general meeting	2.00 p.m. on 24 May 2016
Results of extraordinary general meeting announced	24 May 2016
Net asset value determination date (being the date of the net asset values on which the Tender prices are based)	31 May 2016
Final tender prices for each class of share and repurchase date for successfully tendered shares announced	Final week of June 2016
Settlement through CREST of, and despatch of cheques for, the Tender Offer consideration, as appropriate	by 8 July 2016

All references are to London time.  

Enquiries

Brevan Howard:

Dan Riggs

020 7022 6236

J.P. Morgan Cazenove:

William Simmonds

020 7742 4000

Northern Trust:

Sharon Williams

01481 745436

Important notices

J.P. Morgan Securities plc, which conducts its UK investment banking activities as J.P. Morgan Cazenove ("J.P. Morgan Cazenove"), which is authorised by the Prudential Regulation Authority and regulated by the Prudential Regulation Authority and the Financial Conduct Authority in the United Kingdom, is acting exclusively for the Company and no-one else in connection with the Tender Offer and will not be responsible to anyone other than the Company for providing the protections afforded to customers of J.P. Morgan Cazenove or for providing advice in relation to the Tender Offer or any matter referred to herein.

This announcement does not constitute an offer or solicitation to acquire or sell any securities in the Company. Any acceptance or other response to the Tender Offer should be made on the basis of the information contained in the Circular. The Tender Offer will not be extended into any jurisdiction where to do so may be unlawful or which may otherwise subject the Company or any other person to any unduly onerous obligation. 

This announcement is not for distribution in or into the United States, Canada, Australia or Japan or any other jurisdiction in which its distribution may be unlawful. This announcement is not an offer of securities for sale in the United States or elsewhere. The securities of the Company have not been and will not be registered under the United States Securities Act of 1933, as amended (the “Securities Act”), and may not be offered or sold in the United States unless registered under the Securities Act or pursuant to an exemption from such registration. The Company has not been and will not be registered under the US Investment Company Act of 1940, as amended, and investors are not entitled to the benefits of that Act. There has not been and there will be no public offering of the Company’s securities in the United States.

This announcement includes statements that are, or may be deemed to be, ‘‘forward-looking statements’’. These forward-looking statements can be identified by the use of forward-looking terminology, including the terms ‘‘believes’’, ‘‘estimates’’, ‘‘anticipates’’, ‘‘expects’’, ‘‘intends’’, ‘‘may’’, ‘‘will’’ or ‘‘should’’ or, in each case their negative or other variations or comparable terminology. These forward-looking statements include matters that are not historical facts. They appear in a number of places throughout this announcement and include statements regarding the intentions, beliefs or current expectations of the Company. By their nature, forward-looking statements involve risks and uncertainties because they relate to events and depend on circumstances that may or may not occur in the future. Forward-looking statements are not guarantees of future performance. The investment performance, financial condition and prospects of the Company may change. Except as required by law or applicable regulation, the Company does not undertake any obligation to update any forward-looking statements, even though the situation of the Company may change in the future. All of the information presented in this announcement, and particularly the forward-looking statements, is qualified by these cautionary statements.

END